Theorems on the structure of finite dimensional estimation algebras

Abstract In this paper we proved several theorems concerning the structure of finite dimensional estimation algebras. In particular, under proper technical assumptions, we proved the following: (1) The observation of a filtering system must be linear if the estimation algebra is finite dimensional. (2) All elements of a finite dimensional estimation algebra belong to a special class of polynomial differential operators. (3) All finite dimensional estimation algebras are solvable.